Quantitative backtesting of a model used to initiate financial trading for all stocks contained within the S&P 500 for the time period between January 2020 - December 2024
Index(['Date', 'price', 'ticker', 'daily_pct_change'], dtype='object')
%%time
# Init df to store trade signals
signals = pd.DataFrame()
# Iterate the stock symbols to calculate trade signals
for nm, grp in df.groupby('ticker'):
# Calculate
grp['signal'] = 0.0
# Calculate sma
grp['short'] = grp['price'].rolling(window = 30, min_periods = 1, center = False).mean()
# Calculate lma
grp['long'] = grp['price'].rolling(window = 90, min_periods = 1, center = False).mean()
# Create signals
grp['signal'][30:] = np.where(grp['short'][30:] > grp['long'][30:], 1.0, 0.0)
# Generate trading orders
grp['positions'] = grp['signal'].diff()
signals = pd.concat([signals, grp])
print(f"Signals calculated for {nm}..")
Signals calculated for A..
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CPU times: user 3.91 s, sys: 1.54 s, total: 5.45 s
Wall time: 5.47 s
%%time
# Init df to store aggregate
backtest = pd.DataFrame()
# Iterate the trades to calculate earnings
for nm, grp in signals.groupby('ticker'):
pos = pd.DataFrame(index = grp.index).fillna(0)
# Trigger to purchase specificed shares of each stock
pos['shares'] = 100 * grp['signal']
portfolio = pos.multiply(grp['price'], axis = 0)
pos_diff = pos.diff()
# Add `holdings` to portfolio
portfolio['holdings'] = (pos.multiply(grp['price'], axis = 0)).sum(axis = 1)
# Add `cash` to portfolio
portfolio['cash'] = 10000 - (pos_diff.multiply(grp['price'], axis = 0)).sum(axis = 1).cumsum()
# Add `total` to portfolio
portfolio['total'] = portfolio['cash'] + portfolio['holdings']
# Add `returns` to portfolio
portfolio['returns'] = portfolio['total'].pct_change()
portfolio['ticker'] = nm
backtest = pd.concat([backtest, portfolio])
CPU times: user 4.56 s, sys: 2.35 s, total: 6.91 s
Wall time: 6.99 s
